Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1067 |
| Annualized Std Dev | 0.2311 |
| Annualized Sharpe (Rf=0%) | 0.4616 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4308.0000 |
| NAs | 1.0000 |
| Minimum | -0.1379 |
| Quartile 1 | -0.0060 |
| Median | 0.0012 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0079 |
| Maximum | 0.1074 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0146 |
| Skewness | -0.5212 |
| Kurtosis | 8.1715 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0107 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.5936 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0350 |
| Modified VaR (95%) | -0.0231 |
| Modified ES (95%) | -0.0472 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-11 | 2009-03-09 | 2010-12-17 | -0.5936 | 803 | 353 | 450 |
| 2020-02-21 | 2020-03-18 | 2020-07-29 | -0.3880 | 111 | 19 | 92 |
| 2011-07-08 | 2011-10-03 | 2012-09-13 | -0.2893 | 300 | 61 | 239 |
| 2015-06-24 | 2016-02-11 | 2017-02-09 | -0.2731 | 412 | 161 | 251 |
| 2018-09-05 | 2018-12-24 | 2019-07-24 | -0.2630 | 222 | 77 | 145 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | 0.7 | 0.8 | -1.1 | 0.7 | -1.4 | 1.4 | 1.6 | 2.1 | 0.4 | 1.2 | -0.2 | 6 |
| 2005 | 0.7 | 0.7 | -0.2 | 0.1 | 0.5 | 0.1 | 0.6 | 0.2 | 0.6 | 0.2 | 1.8 | -0.7 | 4.7 |
| 2006 | 0.5 | 1.8 | 0.5 | -0.5 | 2 | 0.6 | -1.7 | 0.4 | -0.7 | -1.6 | -0.5 | -0.8 | 0 |
| 2007 | 1.1 | -0.2 | 0.1 | -0.1 | 0.7 | -0.1 | 0.3 | 1.3 | 1.8 | -2.9 | 0.1 | -0.6 | 1.6 |
| 2008 | 2.8 | -2.4 | 3.1 | 1.5 | 0.7 | -0.1 | 0.3 | -0.7 | -1 | 3.9 | -10.8 | 2.7 | -0.9 |
| 2009 | -1.7 | -0.6 | 1.1 | 0.4 | 3.6 | 1.4 | 0.1 | -2.4 | -3.3 | -2.6 | 1.6 | -1 | -3.6 |
| 2010 | 1.6 | 2.3 | 0.9 | -2.6 | -2.9 | -0.7 | 0.2 | 3.6 | 0.5 | -0.5 | 2.1 | -0.7 | 3.6 |
| 2011 | 2 | -1.9 | 0.4 | 0.4 | -3.1 | 1.6 | -0.7 | -1.8 | -3 | -3 | -0.5 | -0.4 | -9.6 |
| 2012 | 2 | 0.8 | -0.1 | 0.3 | -3.3 | 3.4 | -1.7 | 0.5 | 0 | 1.6 | -0.2 | 2.1 | 5.3 |
| 2013 | 0.9 | 0.5 | -1.1 | -1.8 | -0.9 | 1.7 | 1.8 | -1.2 | 1.4 | -0.3 | -0.1 | 0.5 | 1.3 |
| 2014 | -0.3 | -0.5 | 1.3 | 0.1 | -0.5 | 0.8 | -0.5 | 0.7 | -1.5 | 1.5 | -1.6 | -0.6 | -1.4 |
| 2015 | -1.6 | -0.4 | 1.3 | 0.9 | 0.4 | 0.2 | 0.5 | -2.6 | 0 | -0.3 | 0.6 | -0.9 | -2 |
| 2016 | 0 | 2.2 | 0.4 | -0.8 | 0.7 | 0.3 | 0.3 | 0.2 | 0.8 | -1 | -1 | -0.3 | 1.7 |
| 2017 | -0.2 | 1.5 | 0.2 | 0.5 | 1.7 | 0.1 | 0.1 | 0.3 | 0.4 | -0.4 | -0.3 | -0.6 | 3.3 |
| 2018 | 0.3 | -0.5 | 1.3 | 0.5 | 0.9 | 0.1 | 0.4 | 0.4 | -1.2 | 2.3 | 0.5 | 1.3 | 6.4 |
| 2019 | 0.4 | 1.1 | 1 | -1.1 | -0.9 | 0.7 | -1 | -0.2 | -1.7 | 1.6 | -0.7 | 0.3 | -0.6 |
| 2020 | -1.9 | -0.5 | -5.8 | -3.3 | 1 | 0.6 | -0.3 | 1.2 | 1.6 | -1.5 | 0.4 | -0.1 | -8.5 |
| 2021 | 2.3 | 3.1 | 1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
